Analyzing the interest rate risk of banks usingtime series of accounting-based data:evidence from Germany

This paper describes the rst thorough analysis of the interest risk of German banks on anindividual bank level. We develop a new method that is based on time series of accountingbaseddata to quantify the interest risk of banks and apply it to analyze the German bankingsystem. We find evidence that our model yields a signicantly better fit of banks' internallyquantied interest rate risk than a standard approach that relies on one-point-in-time data, andthat the interest rate risk differs between banks of different size and banking group. Additionally,we find structural differences between trading book and non-trading book institutions....